My wine sits in carboys in a closed closet, so I do not cover them. If for whatever reason, the carboy is going to sit out exposed to light. I tend to throw a blanket over it. I never leave them out like that for long though.
Given centipam's comment. I know over prolonged use. Many materials can begin to become more brittle. Does anyone rotate out old carboys for newer ones after a few years of use?
A wine cellar is best without daylight since it is probably long term aging. I am not concerned about daylight on carboys. However I would be concerned about direct sunlight hitting them causing temperature fluctuations throughout the day and everyday.
I think the carboy covering started from some winemaking books indicating light exposure could cause damage. I agree with Dan and would certainly protect from strong sunlight. I found this link to some information from Enartis.